FEDS 2017-066: Measuring International Uncertainty: the Case of Korea

Minchul Shin, Boyuan Zhang, Molin Zhong, and Dong Jin Lee | We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10-2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et. al. (2015).